https://github.com/braheezy/spy-analysis

Quick analysis of SPY ETF behavior when near all-time highs
https://github.com/braheezy/spy-analysis

Last synced: 2 days ago
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Quick analysis of SPY ETF behavior when near all-time highs

• Host: GitHub
• URL: https://github.com/braheezy/spy-analysis
• Owner: braheezy
• Created: 2022-08-19T05:04:47.000Z (over 2 years ago)
• Default Branch: master
• Last Pushed: 2022-08-19T05:04:52.000Z (over 2 years ago)
• Last Synced: 2024-11-10T13:35:26.260Z (2 months ago)
• Language: Python
• Homepage:
• Size: 159 KB
• Stars: 0
• Watchers: 2
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
# Background

SPY is usually near all-time highs. Is this alpha?

This program seeks to answer the following questions:

1. What does "near all-time highs" mean?

    - When SPY is within ALL_TIME_HIGH_THRESHOLD percent of the current all time high.

2. How often is SPY near all-time highs?

3. When SPY is not near all-time highs, how far does it typically deviate?

4. When SPY is not near all-time highs, how long does it typically take to get back to all-time highs?

# Method

Obtain historical data from Yahoo Finance.

Run Python script to run analysis.

- Use `Close Price`

# Trading Strategy

Go long on SPY when it's not at all-time highs

1. Buy 100 shares when X percent away

2. Set stop loss at Y percent away

3. Sell:

    - After N days?

    - After N percent profit?

    - After SPY is within Z percent of all-time high?

## Usage

In install the prerequisites:

```console

$ python -m pip install -r requirements.txt

```

Run the program

```console

python ./spy_analysis.py

```

Tweak `ALL_TIME_HIGH_THRESHOLD` in the script for different behavior.